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http://dx.doi.org/10.5351/KJAS.2006.19.1.121

Resampling Methods on Frequency Domains for Time Series  

Yeo In-Kwon (Division of Mathematics and Statistics, Sookmyung Women's University)
Yoon Wha-Hyung (Department of Statistics, Seoul National University)
Cho Sin-Sup (Department of Statistics, Seoul National University)
Publication Information
The Korean Journal of Applied Statistics / v.19, no.1, 2006 , pp. 121-134 More about this Journal
Abstract
This paper presents the resampling method for time series data in the frequency domain obtained by using discrete cosine transforms(DCT) The advantage of the proposed method is to generate bootstrap samples in time domain comparing with existing bootstrapping method. When time series are stationary, statistical properties of DCT coefficients are investigated and provide the verification of the proposed procedure.
Keywords
Bootstrap; Discrete cosine transform; Asymptotically independent;
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